Commodity futures returns : more memory than you might think!
Jerry Coakley, Neil Kellard and Jian Wang
| Year of publication: |
October-December 2016
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| Authors: | Coakley, Jerry ; Kellard, Neil ; Wang, Jian |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 22.2016, 13/15, p. 1457-1483
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| Subject: | temporal long-term dependence | structural breaks | market efficiency | wavelet | overreaction | Effizienzmarkthypothese | Efficient market hypothesis | Rohstoffderivat | Commodity derivative | Strukturbruch | Structural break | Zustandsraummodell | State space model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2015.1025989 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011715477